Welcome to the website of Farooq Ahmed on financial and risk modelling. This section consists of some of my models & tools handy in pricing for "Value At Risk", derivatives pricing , stress models and capital calculations. This page is mainly here for myself as links to either code / spreadsheets that I find useful. The spreadsheets here is my own and you are free to copy it and use it as you like as none of my work related spreadsheet/code will appear here. Feel free to comment or / suggest at [email protected] .   Reuters TM Real Time—VAR Frame work. Reuters TM Real Time - FX Trading Model using MACD Model Reuters TM Real Time - FX Portfolio Trading using MACD Trading Model with Filters

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Combination Value-at-Risk Model

BASEL II Capital Charge using RISK METRIC ^TM Model for Portfolio.

Value-at-Risk Model using  Model Combination Framework.

EWA (Exponential Weighted Average) Models on VAR on FX Portfolio

Garch 1,1 Models on VAR predication on FX Portfolio.

Treasury Balance Management Framework, A summarized analysis on balances sheet management and liquidity risk analysis.

Treasury Balance Sheet Management Framework Optimization

Asset and Liabilities Management Framework, A summarized analysis

Reuters ^TM Real Time—VAR Frame work.

Reuters ^TM Real Time - FX Trading Model using MACD Model

Reuters ^TM Real Time - FX Portfolio Trading using MACD Trading Model with Filters

Matlab ^TM- Option Portfolio Pricing

Matlab ^TM Excel - Delta Neutral FX Option Portfolio

Matlab ^TM Excel - Value-at-Risk for